I would be interested to know if you can still get a Russian tourist visa in Hong Kong. Last report was March 2008:
The Russian Consulate in Hong Kong is still issuing visas to overseas nationals (since you will almost certainly have a 90 day permit to stay in HK stamped in your passport, 180 days for Brits, and the new russian rules state that you can still get a visa in an overseas country if you have a permit to be there for at least 90 days).
Got mine there a few days ago and they still accept B&W printouts of invitations that have been e-mailed from the usual agencies. No questions asked, they seem to be a happy bunch of Russians working there.
You can NOT get a transit visa in Shanghai or in Beijing unless you have tickets out of Russia as well as tickets into Russia. You must have tickets in both directions, both into Russia and out of Russia in order to get the transit visa and then the visa will likely be good for only one or perhaps at most two nights in Moscow.
10 days is the maximum and is usually granted only to people traveling Vladivostok to Moscow to Petersburg and then onward since this combination of trains takes 8-9 days. Train from Beijing to Moscow either through Mongolia (transmongolian) or directly (transmanchurians) only takes 6+ days of which only 3-4 days are actually in Russia. Usually people get 5-7 days for such transit visas.
The difficulty in obtaining such a visa is the problem of obtaining the actual tickets for the trains. You cannot walk into any train station and buy them. They must be purchased through CITS or an agency. Recent reports suggest that it might not be easy to obtain such tickets this year.
If you are unsuccessful in HK, then I would suggest immediately contacting CITS, www.cits.net or Richard Tian of Ocean Travel, whose email is oceantravelcn@yahoo.com.cn or richards@public3.bta.net.cn. Reportedly these companies are quite reliable about obtaining the tickets at a fair price and delivering them during the day to your hostel or hotel in Beijing. Be sure to add them to your address book so that your spam filter does not "Eat" their responses.
You don't need to fly from Moscow but you will need to obtain a bus ticket from Moscow or Petersburg to someplace in the Baltics or Finland. Try eurolines.ee or ecolines. Both are bus companies operating in the Baltics and you may be able to purchase the necessary tickets online through them and get the receipts/vouchers from them.
Generally it takes the same amount of time to get a transit visa as a tourist visa, perhaps 5 days.
With your German passport, I would not count on being able to do this. It has been difficult to impossible for Germans to get Russian visas outside of Germany or the country of their official residence for many years.
If you can't get the visa is Hong Kong, I would definitely consider taking an Air Asia budget flight from Macau to Bangkok and getting your Russian tourist visa there. I seriously doubt that you can get a transit visa in China and almost definitely not in Mongolia where the consulate is very strict.
Good luck and please report back.
Ruth